scholarly journals Weighted functional spaces approach in infinite horizon optimal control problems: A systematic analysis of hidden opportunities and advantages

2017 ◽  
Vol 454 (1) ◽  
pp. 195-218 ◽  
Author(s):  
Valeriya Lykina ◽  
Sabine Pickenhain
Keyword(s):  
Optimal Control ◽  
Optimal Control Problems ◽  
Infinite Horizon ◽  
Control Problems ◽  
Systematic Analysis ◽  
Weighted Functional Spaces

scholarly journals A pseudospectral method for budget-constrained infinite horizon optimal control problems

2021 ◽  
Vol 71 ◽  
pp. 145-154
Author(s):  
Angie Burtchen ◽  
Valeriya Lykina ◽  
Sabine Pickenhain
Keyword(s):  
Optimal Control ◽  
Optimal Control Problems ◽  
Numerical Solutions ◽  
Infinite Horizon ◽  
Pseudospectral Method ◽  
Linear Quadratic Regulator ◽  
Approximate Solutions ◽  
Control Problems ◽  
Linear Quadratic ◽  
Weighted Functional Spaces

In this paper a generalization of the indirect pseudo-spectral method, presented in [17], for the numerical solution of budget-constrained infinite horizon optimal control problems is presented. Consideration of the problem statement in the framework of weighted functional spaces allows to arrive at a good approximation for the initial value of the adjoint variable, which is inevitable for obtaining good numerical solutions. The presented method is illustrated by applying it to the budget-constrained linear-quadratic regulator model. The quality of approximate solutions is demonstrated by an example.

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